Bootstrapping the HEGY Seasonal Unit Root Tests
Robert Taylor and
Peter Burridge ()
No 125, Econometric Society 2004 North American Summer Meetings from Econometric Society
This paper proposes bootstrap versions of the seasonal unit root tests of, inter alia, Hylleberg, Engle, Granger and Yoo (1990,Journal of Econometrics 55, 305-328)[HEGY]. We report a simulation study of the properties of both the conventional and bootstrapped seasonal unit root tests when applied to series having higher-order serial correlation and/or periodic heteroscedasticity, both of which are known to severely distort the significance level of the conventional tests. Our results demonstrate that the bootstrap provides good approximations to the statistics' null distributions. Moreover, the bootstrap corrects the adverse effects of data-dependent lag selection seen in the conventional augmented HEGY tests. The bootstrapped tests have comparable power to (infeasible) exactly significance-level-corrected lag-augmented HEGY tests, and their use is recommended
Keywords: Seasonal unit roots; bootstrap tests; higher-order serial correlation; periodic heteroscedasticity; data-based lag selection (search for similar items in EconPapers)
JEL-codes: C12 C15 C22 C52 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
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Journal Article: Bootstrapping the HEGY seasonal unit root tests (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:ecm:nasm04:125
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